Cinder block walls, lined with steel plating, and you can use fire resistant drywall boarding to finish the inside. .
Now comes one of these hated technology from Germany things. If you can't take it, don't read it.
Cinder blocks are nice, but my sledgehammer is nicer, because it goes through it like butter. Yes you have steel plating, but why make it so strange when there is one way, every bunker and every public building in Europe is build:
Steel reinforced concrete.
I know that you probably can't put this in a room of the most houses in my area, because they are build out of wood and would collapse under the weight. I don't know what your house is build of, but 4 walls made this way with a ceiling of the same stuff does not only make you a nice safe type room, you could use it as a bunker as wekk.
Steel reinforced concrete has some advantages you cant get from any other material.
Steel alone gets soft in a fire, and concrete crumples in high heat, but both together will stick together and make it a structure that is hard to destroy.
Look at all the bunkers in Germany, and how much explosives were needed to remove them after the war, this stuff is what secured rooms are made of.
And if you want to use it as a safe room, make it a little bigger and put in a AC
But this is only my German opinion.